Qubx 0.6.24__cp312-cp312-manylinux_2_39_x86_64.whl → 0.6.26__cp312-cp312-manylinux_2_39_x86_64.whl

qubx/connectors/ccxt/account.py

@@ -170,7 +170,7 @@ class CcxtAccountProcessor(BasicAccountProcessor):
         self._instrument_to_last_price[instrument] = (time, extract_price(update))
         super().update_position_price(time, instrument, update)
 
-    def get_total_capital(self) -> float:
+    def get_total_capital(self, exchange: str | None = None) -> float:
         # sum of balances + market value of all positions on non spot/margin
         _currency_to_value = {c: self._get_currency_value(b.total, c) for c, b in self._balances.items()}
         _positions_value = sum([p.market_value_funds for p in self._positions.values() if p.instrument.is_futures()])

qubx/connectors/ccxt/exchanges/binance/exchange.py

@@ -32,7 +32,8 @@ class BinanceQV(cxp.binance):
                 "options": {
                     "watchTrades": {
                         "name": "aggTrade",
-                    }
+                    },
+                    "localOrderBookLimit": 10_000,  # set a large limit to avoid cutting off the orderbook
                 }
             },
         )
@@ -210,6 +211,22 @@ class BinanceQV(cxp.binance):
         self.trades[symbol] = tradesArray
         client.resolve(tradesArray, messageHash)
 
+    def handle_order_book_subscription(self, client: Client, message, subscription):
+        defaultLimit = self.safe_integer(self.options, "localOrderBookLimit", 4000)
+        # messageHash = self.safe_string(subscription, 'messageHash')
+        symbolOfSubscription = self.safe_string(subscription, "symbol")  # watchOrderBook
+        symbols = self.safe_value(subscription, "symbols", [symbolOfSubscription])  # watchOrderBookForSymbols
+        limit = self.safe_integer(subscription, "limit", defaultLimit)
+        # handle list of symbols
+        for i in range(0, len(symbols)):
+            symbol = symbols[i]
+            if symbol in self.orderbooks:
+                del self.orderbooks[symbol]
+            self.orderbooks[symbol] = self.order_book({}, limit)
+            subscription = self.extend(subscription, {"symbol": symbol})
+            # fetch the snapshot in a separate async call
+            self.spawn(self.fetch_order_book_snapshot, client, message, subscription)
+
 
 class BinanceQVUSDM(cxp.binanceusdm, BinanceQV):
     """

qubx/connectors/tardis/data.py

@@ -687,7 +687,7 @@ class TardisDataProvider(IDataProvider):
         elif data_type == DataType.QUOTE:
             return "quote"
         elif data_type == DataType.ORDERBOOK:
-            return "book_snapshot_1000_100ms"  # Default depth and interval
+            return "book_snapshot_2000_100ms"  # Default depth and interval
         elif data_type == DataType.OHLC:
             return "trade_bar_1m"  # Default timeframe
         else:

qubx/core/interfaces.py

@@ -1090,10 +1090,6 @@ class IStrategyContext(
         """Check if the strategy context is running."""
         return False
 
-    @property
-    def is_warmup(self) -> bool:
-        return self._strategy_state.is_warmup_in_progress
-
     @property
     def is_simulation(self) -> bool:
         """Check if the strategy context is running in simulation mode."""

qubx/utils/questdb.py

@@ -0,0 +1,79 @@
+from typing import Any, Dict, List, Optional, Union
+
+import pandas as pd
+import psycopg as pg
+from psycopg.sql import SQL, Composed
+
+
+class QuestDBClient:
+    """
+    A helper class for interacting with QuestDB.
+    """
+
+    def __init__(
+        self,
+        host: str = "nebula",
+        port: int = 8812,
+        user: str = "admin",
+        password: str = "quest",
+        dbname: Optional[str] = None,
+    ):
+        """
+        Initialize the QuestDB client.
+
+        Args:
+            host: The hostname of the QuestDB server
+            port: The port number for QuestDB PostgreSQL interface
+            user: The username for authentication
+            password: The password for authentication
+            dbname: Optional database name
+        """
+        conn_str = f"user={user} password={password} host={host} port={port}"
+        if dbname:
+            conn_str += f" dbname={dbname}"
+
+        self.conn_str = conn_str
+
+    def query(self, query: str, params: Optional[Dict[str, Any]] = None) -> pd.DataFrame:
+        """
+        Execute a SQL query and return the results as a pandas DataFrame.
+
+        Args:
+            query: The SQL query to execute
+            params: Optional parameters for the query
+
+        Returns:
+            A pandas DataFrame containing the query results
+        """
+        with pg.connect(self.conn_str) as conn:
+            with conn.cursor() as cursor:
+                cursor.execute(query, params)
+                if cursor.description:  # Check if the query returns data
+                    column_names = [desc.name for desc in cursor.description]
+                    records = cursor.fetchall()
+                    return pd.DataFrame(records, columns=column_names)
+                return pd.DataFrame()
+
+    def execute(self, query: str, params: Optional[Dict[str, Any]] = None) -> int:
+        """
+        Execute a SQL statement that doesn't return data (INSERT, UPDATE, etc.).
+
+        Args:
+            query: The SQL query to execute
+            params: Optional parameters for the query
+
+        Returns:
+            The number of rows affected
+        """
+        with pg.connect(self.conn_str) as conn:
+            with conn.cursor() as cursor:
+                cursor.execute(query, params)
+                conn.commit()
+                return cursor.rowcount
+
+    def __enter__(self):
+        """Context manager entry point."""
+        return self
+
+    def __exit__(self, exc_type, exc_val, exc_tb):
+        """Context manager exit point."""

{qubx-0.6.24.dist-info → qubx-0.6.26.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.3
 Name: Qubx
-Version: 0.6.24
+Version: 0.6.26
 Summary: Qubx - Quantitative Trading Framework
 Author: Dmitry Marienko
 Author-email: dmitry.marienko@xlydian.com

{qubx-0.6.24.dist-info → qubx-0.6.26.dist-info}/RECORD

@@ -18,19 +18,19 @@ qubx/cli/deploy.py,sha256=WfrEJ4n_e_xB6e1JstP2Rb4EGIxCftqG_flT03fjPXE,7595
 qubx/cli/misc.py,sha256=tP28QxLEzuP8R2xnt8g3JTs9Z7aYy4iVWY4g3VzKTsQ,14777
 qubx/cli/release.py,sha256=JYdNt_ZM9jarmYiRDtKqbRqqllzm2Qwi6VggokB2j8A,28167
 qubx/connectors/ccxt/__init__.py,sha256=HEQ7lM9HS8sED_zfsAHrhFT7F9E7NFGAecwZwNr-TDE,65
-qubx/connectors/ccxt/account.py,sha256=6VMWnpnjd1jocRO8AYGf0YXWZAf0uyYWJAFolUXq2wg,24279
+qubx/connectors/ccxt/account.py,sha256=HILqsSPfor58NrlP0qYwO5lkNZzUBG-SR5Hy1OSa7_M,24308
 qubx/connectors/ccxt/broker.py,sha256=UMAytmDCwELUv4-R4WmrEQdPnZjjF89XlgJst15WVSs,15305
 qubx/connectors/ccxt/data.py,sha256=jd6jeygq_3j5D3JkzQu_D-6ft0O5X-hRF6_RBTgl_as,29970
 qubx/connectors/ccxt/exceptions.py,sha256=OfZc7iMdEG8uLorcZta2NuEuJrSIqi0FG7IICmwF54M,262
 qubx/connectors/ccxt/exchanges/__init__.py,sha256=2Po4YfvLOcpXHCS9Q2SSy3TMUejkcd9RhQ-oyGaxcEc,1504
 qubx/connectors/ccxt/exchanges/binance/broker.py,sha256=BB2V82zaOm1EjP3GrsOqQQMeGpml6-w23iv7goKrjyU,2111
-qubx/connectors/ccxt/exchanges/binance/exchange.py,sha256=tJLGwkhH93-7aV9mVn600eKjnFhqnWefyT90TY7k-s8,23350
+qubx/connectors/ccxt/exchanges/binance/exchange.py,sha256=7r4Y1-4NOMjnhz_Sdg6mjazUHtJPc1jOIPT_d8sxuBs,24444
 qubx/connectors/ccxt/exchanges/bitfinex/bitfinex.py,sha256=C0ZtM2MmLI_LJyUFSbww9qon7od57iAKoJJZ_3KUgNM,1150
 qubx/connectors/ccxt/exchanges/kraken/kraken.py,sha256=RFrnvr1L1NZYoKYWR5_L8vVkpMXtY7UDkWRnHeoasDU,351
 qubx/connectors/ccxt/factory.py,sha256=mfWjIJhoTAREkL--WiCGpD7ptDC7mHRc19s0hI2ShKM,2957
 qubx/connectors/ccxt/reader.py,sha256=qaZIaOZkRf3Rz31ZrEqqAv4kATk5zDlSq-LK1jziBs8,8314
 qubx/connectors/ccxt/utils.py,sha256=hNy7jmNau6SKgztVCV-HNTRRphfVREmPCvpxKkKwPzY,11575
-qubx/connectors/tardis/data.py,sha256=w3oHCXPzZsWgt0QwAzz189Jl64DOsn74mVhsjDbY-G0,30752
+qubx/connectors/tardis/data.py,sha256=VJJXSe6xb4jsa88VVj1lwI7VkEYknIXuM4End3t852M,30752
 qubx/connectors/tardis/utils.py,sha256=epThu9DwqbDb7BgScH6fHa_FVpKUaItOqp3JwtKGc5g,9092
 qubx/core/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 qubx/core/account.py,sha256=4_XskMLR9Uh-rpJBDYMrceYiGMvAZw56k1ve-unIW8w,19417
@@ -41,7 +41,7 @@ qubx/core/errors.py,sha256=kWCK6o0-mm87VUhhlGKqwTpvdDXAza7YRRjeyz-vwfI,609
 qubx/core/exceptions.py,sha256=11wQC3nnNLsl80zBqbE6xiKCqm31kctqo6W_gdnZkg8,581
 qubx/core/helpers.py,sha256=9nl9L_ZzT1HsMC9VthMqXfmuRS_37crB-9bVfIRHeOs,19631
 qubx/core/initializer.py,sha256=PUiD_cIjvGpuPjYyRpUjpwm3xNQ2Kipa8bAhbtxCQRo,3935
-qubx/core/interfaces.py,sha256=7LPM5iviSQ1id_zpaZJ9e1zEBYRMA-WJj-aQvmkA3IM,58061
+qubx/core/interfaces.py,sha256=VKIgEhRaDj9EMf1UUcMlai2BLrw0UNPU1-2akU5q0Ng,57955
 qubx/core/loggers.py,sha256=eYhJANHYwz1heeFMa5V7jYCL196wkTSvj6c-8lkPj1Y,19567
 qubx/core/lookups.py,sha256=n5ZjjEhhRvmidCB-Cubr1b0Opm6lf_QVZNEWa_BOQG0,19376
 qubx/core/metrics.py,sha256=5zdr4uBJJTVf-X2L_7dhfFZOlYNLP1_idETGoZqxdbg,57913
@@ -51,11 +51,11 @@ qubx/core/mixins/processing.py,sha256=dqehukrfqcLy5BeILKnkpHCvva4SbLKj1ZbQdnByu1
 qubx/core/mixins/subscription.py,sha256=V_g9wCPQ8S5SHkU-qOZ84cV5nReAUrV7DoSNAGG0LPY,10372
 qubx/core/mixins/trading.py,sha256=6XK712ZHECZnI-lleJfQ8taXfaBagPQBVqNoBxAkEyM,7204
 qubx/core/mixins/universe.py,sha256=L3s2Jw46_J1iDh4622Gk_LvCjol4W7mflBwEHrLfZEw,9899
-qubx/core/series.cpython-312-x86_64-linux-gnu.so,sha256=67Wl9WOJ06hjtML76K-DyJv1X_lzVKlz7setWlILbC4,978280
+qubx/core/series.cpython-312-x86_64-linux-gnu.so,sha256=Plj8Ib9Fh7sOrRnXkmlo6Hye0j-ROvgAnD1AtYkQEL4,978280
 qubx/core/series.pxd,sha256=jBdMwgO8J4Zrue0e_xQ5RlqTXqihpzQNu6V3ckZvvpY,3978
 qubx/core/series.pyi,sha256=RaHm_oHHiWiNUMJqVfx5FXAXniGLsHxUFOUpacn7GC0,4604
 qubx/core/series.pyx,sha256=7cM3zZThW59waHiYcZmMxvYj-HYD7Ej_l7nKA4emPjE,46477
-qubx/core/utils.cpython-312-x86_64-linux-gnu.so,sha256=Qz_FOPzmW2pgNR94cpLS6W1tZwCcWaFerjhTGBHsFVc,86568
+qubx/core/utils.cpython-312-x86_64-linux-gnu.so,sha256=kQawfZtib9u8klFkguewIUuJoV-hzKeJQ58B6_NesrU,86568
 qubx/core/utils.pyi,sha256=a-wS13V2p_dM1CnGq40JVulmiAhixTwVwt0ah5By0Hc,348
 qubx/core/utils.pyx,sha256=k5QHfEFvqhqWfCob89ANiJDKNG8gGbOh-O4CVoneZ8M,1696
 qubx/data/__init__.py,sha256=ELZykvpPGWc5rX7QoNyNQwMLgdKMG8MACOByA4pM5hA,549
@@ -116,7 +116,7 @@ qubx/restorers/signal.py,sha256=DBLqA7vDhoMTAzUC4N9UerrO0GbjeHdTeMoCz7U7iI8,6621
 qubx/restorers/state.py,sha256=duXyEHQhS1zdNdo3VKscMhieZ5sYNlfE4S_pPXQ1Tuw,4109
 qubx/restorers/utils.py,sha256=We2gfqwQKWziUYhuUnjb-xo-5tSlbuHWpPQn0CEMTn0,1155
 qubx/ta/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
-qubx/ta/indicators.cpython-312-x86_64-linux-gnu.so,sha256=sjOXYIOmm3Jv8xFOMno4d6LLfvzHOANN4VBzIHluLbU,654440
+qubx/ta/indicators.cpython-312-x86_64-linux-gnu.so,sha256=8JPrt_9nOLHvmcnvqEBwq8DPyJr9PQgdMQ4k5aMA4zo,654440
 qubx/ta/indicators.pxd,sha256=Goo0_N0Xnju8XGo3Xs-3pyg2qr_0Nh5C-_26DK8U_IE,4224
 qubx/ta/indicators.pyi,sha256=19W0uERft49In5bf9jkJHkzJYEyE9gzudN7_DJ5Vdv8,1963
 qubx/ta/indicators.pyx,sha256=Xgpew46ZxSXsdfSEWYn3A0Q35MLsopB9n7iyCsXTufs,25969
@@ -144,6 +144,7 @@ qubx/utils/plotting/data.py,sha256=ZOg8rHAq4NVmfsyhvzFHtey4HaXywAHufxhv1IExRqg,4
 qubx/utils/plotting/interfaces.py,sha256=mtRcoWIMt2xkv-Tc2ZgXZQpr5HRiWhPcqkIslzZTeig,493
 qubx/utils/plotting/renderers/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 qubx/utils/plotting/renderers/plotly.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
+qubx/utils/questdb.py,sha256=TdjmlGPoZXdjidZ_evcBIkFtoL4nGQXPR4IQSUc6IvA,2509
 qubx/utils/runner/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 qubx/utils/runner/_jupyter_runner.pyt,sha256=41dLQeI2EL4wJjBDht2qKbgISgS5DtmJ6XtPWE9NWGs,9243
 qubx/utils/runner/accounts.py,sha256=mpiv6oxr5z97zWt7STYyARMhWQIpc_XFKungb_pX38U,3270
@@ -152,8 +153,8 @@ qubx/utils/runner/factory.py,sha256=vQ2dBTbrQE9YH__-TvuFzGF-E1li-vt_qQum9GHa11g,
 qubx/utils/runner/runner.py,sha256=iJsxTU9ne43Seh5rMfZLrXnV-RtA4BwzZYsjHeXajLs,29067
 qubx/utils/time.py,sha256=J0ZFGjzFL5T6GA8RPAel8hKG0sg2LZXeQ5YfDCfcMHA,10055
 qubx/utils/version.py,sha256=e52fIHyxzCiIuH7svCF6pkHuDlqL64rklqz-2XjWons,5309
-qubx-0.6.24.dist-info/LICENSE,sha256=qwMHOSJ2TD0nx6VUJvFhu1ynJdBfNozRMt6tnSul-Ts,35140
-qubx-0.6.24.dist-info/METADATA,sha256=a1xxO3N6ZoCPIFcXEX7jGWX7bpEGVUVLPReKALfLbSw,4444
-qubx-0.6.24.dist-info/WHEEL,sha256=XjdW4AGUgFDhpG9b3b2KPhtR_JLZvHyfemLgJJwcqOI,110
-qubx-0.6.24.dist-info/entry_points.txt,sha256=VqilDTe8mVuV9SbR-yVlZJBTjbkHIL2JBgXfQw076HY,47
-qubx-0.6.24.dist-info/RECORD,,
+qubx-0.6.26.dist-info/LICENSE,sha256=qwMHOSJ2TD0nx6VUJvFhu1ynJdBfNozRMt6tnSul-Ts,35140
+qubx-0.6.26.dist-info/METADATA,sha256=Nnq0lh5xRBXKd5i1qvlJRuz7Uo1MF7Ckrw5lFXAMKdI,4444
+qubx-0.6.26.dist-info/WHEEL,sha256=XjdW4AGUgFDhpG9b3b2KPhtR_JLZvHyfemLgJJwcqOI,110
+qubx-0.6.26.dist-info/entry_points.txt,sha256=VqilDTe8mVuV9SbR-yVlZJBTjbkHIL2JBgXfQw076HY,47
+qubx-0.6.26.dist-info/RECORD,,